Performance Attribution

Identifying the sources of return in your portfolio empowers your ability to assess and improve your investment strategy—and to deliver performance on a consistent and repeatable basis. Evaluating these returns on a risk-adjusted basis provides additional insights into your portfolio’s performance. Conduct these analyses easily with Axioma’s flexible tools. 

We deliver both factor-based and Brinson-style attribution analysis through a single platform. This allows you to use either or both methodologies—as appropriate for your investment style—to assess your factor or allocation bets. We also provide risk-adjusted results to allow you to analyze performance relative to risks taken.

  • Identify key sources of return and analyze returns on a risk-adjusted basis
  • Utilize factor-based or a Brinson-style approach depending on your investment style
  • Backtest portfolios to better understand the historical drivers of performance or to test investment strategies from our portfolio-construction tools
  • Ensure consistent returns and prevent style drift
  • Full suite of standard reports with flexible reporting options
  • Automated report-generation capabilities
  • Interactive views including a portfolio dashboard
  • Fully integrated with other Axioma Portfolio modules for portfolio construction, risk management, portfolio analytics and custom risk model building
  • Includes Axioma’s rich data content
  • Incorporate your own content along with Axioma content to customize your analysis

Axioma Portfolio Analytics: An Integrated View of Your Portfolio's Risk and Return

Axioma Portfolio Analytics provides time-series risk analysis, stress testing, and both traditional Brinson and factor-based performance attribution, fully integrated with Axioma's fundamental, statistical and macroeconomic risk models as well as custom risk models built with the Axioma Risk Model Machine (RMM).

Active Managers versus Passive Products: How to Win the Debate...

In an era of widely available passive products, active managers must demonstrate the value of their products and substantiate that value by demonstrating consistent and repeatable investment skill. In this paper, Axioma researchers contend that investment managers should tailor performance attribution methods to match their investment processes, highlighting sources of portfolio returns that correspond to their intended bets and showing that these sources are statistically significant overtime. 

Axioma Risk Model Machine: Customizable Risk Models Tailored to Your Investment Process

Custom risk models built with Axioma Risk Model Machine enable clients to achieve enhanced results because the models are tailored to the client’s own investment process. RMM is a flexible, powerful and easy-to-use tool that provides users with a competitive edge in risk forecasting, portfolio construction, performance attribution and alpha research.

Adjusted Factor-Based Performance Attribution

Factor-based performance attribution can fail to tell the whole story. One reason is a strong correlation between the factor and specific return contributions that leads to potentially erroneous attributions. This correlation stems from a “misspecification” of the returns model and causes the factors to over- or under-explain the returns of a given portfolio. Axioma researchers propose an adjusted factor-based performance attribution methodology that generally results in attributions that are more intuitive and provide stronger support of factor-based investment mandates.

Find out more about how Performance Attribution can help you. Contact us at or call us:
North America: +1-212-991-4500
Europe: +44-203-621-8241
Asia: +852-8203-2790 
We look forward to hearing from you.